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Asian Journal of Management
Year : 2024, Volume : 15, Issue : 1
First page : ( 1) Last page : ( 8)
Print ISSN : 0976-495X. Online ISSN : 2321-5763.
Article DOI : 10.52711/2321-5763.2024.00001

Indian stock markets’ reaction to the nationwide lockdown due to COVID-19: Evidence from event study analysis

Verma Reetika1,*, Behera Rachana2

1Research Scholar, Department of Financial Administration, Central University of Punjab, Bathinda, Punjab

2M.Com Student, Department of Financial Administration, Central University of Punjab, Bathinda, Punjab

*Corresponding Author E-mail: reetikaverma20@gmail.com

Online published on 16 April, 2024.

Abstract

Purpose

The study aims to investigate the impact of lockdown implementation due to Covid-19 pandemic in India on the returns of 120 companies listed in Bombay Stock Exchange (BSE).

Design/ Methodology/ Approach

Considering lockdown implementation in India as the event and using daily returns data from February 10, 2020 to August 24, 2020 of top 40 large-cap companies, top 40 mid-cap companies and top 40 small-cap companies listed in the Bombay Stock Exchange (BSE), event study methodology was applied in the study. The abnormal returns were determined on the event day and for 1 day, 25 days, 50 days, 90 days and 100 days post the event. The cumulative abnormal returns and buy-hold abnormal returns were computed using estimation window of 30days prior to the event and 30days post the event.

Findings

The results reveal that performance of almost all the companies fell down and experienced negative returns after the lockdown implementation in India. No remarkable difference was observed in the risk absorption or the recovery pattern of the small-cap, mid- cap and the large-cap companies.

Originality/ Value

The paper is the first attempt to examine the differential reaction of the stock returns of BSE listed large-cap, mid-cap and small-cap companies to the lockdown implementation due to Covid-19 in India.

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Keywords

Covid-19, Lockdown, Event study methodology, Indian stock market.

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